Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 18 (1D) | Nov 19 (2D) | Nov 20 (3D) | Nov 21 (4D) | Nov 24 (7D) | Nov 25 (8D) | Nov 26 (9D) | Nov 27 (10D) | Nov 28 (11D) | Dec 01 (14D) | Dec 05 (18D) | Dec 12 (25D) | Dec 19 (32D) | Dec 26 (39D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 657.872 | 654.642 | 652.164 | 650.074 | 645.039 | 643.614 | 642.277 | 641.011 | 639.808 | 636.493 | 632.587 | 626.681 | 621.559 | 616.973 |
| upper | 673.468 | 676.698 | 679.176 | 681.266 | 686.301 | 687.726 | 689.063 | 690.329 | 691.532 | 694.847 | 698.753 | 704.659 | 709.781 | 714.367 |
| expected move | 7.798 | 11.028 | 13.506 | 15.596 | 20.631 | 22.056 | 23.393 | 24.659 | 25.862 | 29.177 | 33.083 | 38.989 | 44.111 | 48.697 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
